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Re: st: fixed effects & autocorrelation& heteroskedasticity


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: fixed effects & autocorrelation& heteroskedasticity
Date   Tue, 25 May 2004 23:35:19 +0100 (BST)

Antonio Rodrigues Andres replied:

> I just wonder if I want to estimate a fixed effects model with ar(1) and
> accounting for heteroskedasticity, I should use xtgls as follows
>
> xtgls dep.var indep.var indi.dummies, force p(corr)
>
> is that correct?

I've never really used this command, but the official -xtregar- may be
what you're looking for in this regard: -whelp xtregar-.

The correct formulation using this would be:

. xtregar y x1 x2 x3 xk, fe

There is no reason I can think of as to why unit-level dummies could not
be included here.

Good luck.

CLIVE NICHOLAS        |t: 0(044)191 222 5969
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps
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